In recent years, deep convolutional neural networks (CNNs) have become dominant in MRI reconstruction from undersampled k-space. However, most existing CNNs methods reconstruct the undersampled images either in the spatial domain or in the frequency domain, and neglecting the correlation between these two domains. This hinders the further reconstruction performance improvement. To tackle this issue, in this work, we propose a new multi-domain recurrent network (MDR-Net) with multi-domain learning (MDL) blocks as its basic units to reconstruct the undersampled MR image progressively. Specifically, the MDL block interactively processes the local spatial features and the global frequency information to facilitate complementary learning, leading to fine-grained features generation. Furthermore, we introduce an effective frequency-based loss to narrow the frequency spectrum gap, compensating for over-smoothness caused by the widely used spatial reconstruction loss. Extensive experiments on public fastMRI datasets demonstrate that our MDR-Net consistently outperforms other competitive methods and is able to provide more details.